Limit order market analysis and modelling: on a universal cause for over-diffusive prices

Damien Challet and Robin Stinchcombe

Physica A: Statistical Mechanics and its Applications, 2003, vol. 324, issue 1, 141-145

Abstract: We briefly review data analysis of the Island order book, part of NASDAQ, which suggests a framework to which all limit order markets should comply. Using a simple exclusion particle model, we argue that short-time over-diffusion in limit order markets is due to the non-equilibrium of order placement, cancellation and execution rates, which is an inherent feature of real limit order markets.

Keywords: Limit order; Data analysis; Exclusion particle models; Hurst exponent (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:324:y:2003:i:1:p:141-145

DOI: 10.1016/S0378-4371(02)01895-2

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